I'd just like to chime in here and say that for absolute certain HRT made me gain weight - a stone, as soon as I started taking it and very rapidly in the space of about 6 weeks. I seem to have stabilised at a stone higher now. No changes to diet or exercise. I've done a lot of reading on it and there is evidence out there that an increase in estrogen or more accurately excess estrogen can cause it.
However lots of women don't gain with it also - I did wonder if it could have anything to do with what level of estrogen you're needing to get to in order to be symptom free... e.g. as a younger women mine is quite high.
The HRT has literally been a God send for me in other ways though, so it's a price I have to pay.
It is reassuring to hear others have experienced it... I was quite frightened by the rapid weight gain at first!!